Stable mixture GARCH models (Q528154)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stable mixture GARCH models |
scientific article |
Statements
Stable mixture GARCH models (English)
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12 May 2017
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density forecasting
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expected shortfall
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fat tails
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ICA
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GARCH
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mixtures
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portfolio selection
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stable Paretian distribution
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value-at-risk
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